A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives-Reference-Cited by-同舟云学术

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A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives

Published:2024-10 Issue: Volume:97 Page:101901
ISSN:1062-9769
Container-title:The Quarterly Review of Economics and Finance
language:en
Short-container-title:The Quarterly Review of Economics and Finance

Author:

Kim Donghyun,Ha Mijin,Kim Jeong-Hoon^ORCID,Yoon Ji-Hun

Funder

Ministry of Science, ICT and Future Planning

National Research Foundation of Korea

Publisher

Elsevier BV

Reference37 articles.

1. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;Journal of Financial Economics,2007

2. Stochastic volatility modeling;Bergomi,2015

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. Pricing lookback and barrier options under the CEV process;Boyle;Journal of Financial and Quantitative Analysis,1999

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